Filter Covariance and Correlation Matrices with
Bootstrapped-Averaged Hierarchical Ansatz
Description
A method to filter correlation and covariance matrices by averaging
bootstrapped filtered hierarchical clustering and boosting. See Ch. Bongiorno and D. Challet,
Covariance matrix filtering with bootstrapped hierarchies (2020) and
Ch. Bongiorno and D. Challet, Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning
(2020) .